Filtering via estimating functions

DOI10.1016/S0893-9659(99)00058-0zbMath1008.62096MaRDI QIDQ1808463

A. Thavaneswaran, Mary E. Thompson

Publication date: 10 April 2003

Published in: Applied Mathematics Letters (Search for Journal in Brave)

zbMATH Keywords

filteringcounting processesestimating functionsoptimal combination

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Nonlinear recursive estimation of volatility via estimating functions ⋮ A higher order correlation unscented Kalman filter ⋮ Combining estimating functions for volatility ⋮ Recursive estimation for continuous time stochastic volatility models

Cites Work

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• A criterion for filtering in semimartingale models
• Linear Bayes and optimal estimation
• Optimal estimation for semimartingales
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Filtering and Smoothing Via Estimating Functions

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